Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0292
Annualized Std Dev 0.2351
Annualized Sharpe (Rf=0%) -0.1244

Row

Daily Return Statistics

Close
Observations 4420.0000
NAs 1.0000
Minimum -0.2368
Quartile 1 -0.0041
Median 0.0008
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0047
Maximum 0.1695
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0148
Skewness -0.9840
Kurtosis 41.5153

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0116
Loss Deviation 0.0141
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.8223
Historical VaR (95%) -0.0172
Historical ES (95%) -0.0366
Modified VaR (95%) -0.0158
Modified ES (95%) -0.0158
From Trough To Depth Length To Trough Recovery
2005-02-08 2009-03-09 NA -0.8223 4057 1027 NA
2004-11-15 2004-12-16 2005-01-14 -0.0670 43 23 20
2003-09-17 2003-12-18 2004-06-15 -0.0578 187 66 121
2004-09-13 2004-09-17 2004-11-09 -0.0364 42 5 37
2005-01-19 2005-01-25 2005-02-07 -0.0262 14 5 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA 0 0.4 0 -0.9 0.2 -0.4
2004 0.2 0.3 -0.3 0.5 -0.4 0.2 -0.6 0.2 0.4 0.2 -1 -0.2 -0.3
2005 -0.1 0.1 -0.3 0.4 1.2 0.9 0.3 -0.3 0.1 0.7 0.1 0.2 3.3
2006 -0.3 0.2 -0.4 0.2 0 -0.3 0.2 1 0.2 0.7 0.2 0.6 2.4
2007 -0.2 -0.9 0.8 1 0.7 0.6 -3.5 1.5 0.8 -0.2 1.8 -0.9 1.2
2008 1 -2.2 2.1 2 -0.2 -0.2 0.9 0.2 4 -0.6 -1.5 -3.1 2.2
2009 -0.6 -12.4 0.4 1.7 0.5 -0.7 1.8 -1.1 -1.3 -7.3 -0.4 -1.8 -20.1
2010 0.6 0.1 1.3 -3.6 -1.1 1.7 0.7 0.4 0.4 0.5 0.2 0.5 1.6
2011 0.5 0 0.6 0.6 -0.6 1.2 2.2 -0.5 -1 -2.1 -0.8 -0.5 -0.6
2012 0.9 0.7 0.3 0.5 -0.8 0 0.9 -0.1 0.8 0.4 0.5 0.5 4.7
2013 0.6 0.1 0.3 0.3 -2.2 0.3 -2.2 0.1 0.4 0.3 0.5 0 -1.5
2014 0 0 -0.3 -0.3 0.5 -0.5 0.5 0.3 1 0 -1.5 -1.4 -1.7
2015 -1 0.5 0.4 0.3 0 0.1 0.2 0.4 -0.4 0.3 0.2 -1 0.1
2016 1.2 0.7 -0.2 0.3 -0.2 0.2 -0.6 -0.6 0.9 -0.7 -0.9 1 1.1
2017 0.3 0.3 0.2 0.3 0.8 -0.2 -0.3 0.4 -0.2 -0.2 1.7 0.4 3.6
2018 1 -0.3 0.4 -0.1 0.1 -0.4 0.1 -0.2 0.7 1.1 -0.1 -0.1 2.3
2019 -0.1 -0.1 0.3 0.6 -0.3 0 -0.1 -0.4 0.2 0.3 0.3 0.6 1.3
2020 0 -3 -7.2 -1.7 0.2 1.6 -0.1 1.3 0.4 0.2 0.8 0.7 -6.8
2021 0.6 1.4 0.2 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-08-27  20.0 SPY    100. 3.00e-4  -0.0031   0.0074   0.0495   0.0635   -0.335       NA <NA>     NA    NA       NA
2 2003-08-28  20.0 SPY    101. 6.20e-3  -0.0001   0.0161   0.0393   0.094    -0.330       NA <NA>     NA    NA       NA
3 2003-08-29  20   SPY    101. 6.70e-3   0.0167   0.0206   0.042    0.101    -0.328       NA <NA>     NA    NA       NA
4 2003-09-02  20   SPY    103. 1.34e-2   0.0287   0.0435   0.0517   0.120    -0.321       NA <NA>     NA    NA       NA
5 2003-09-03  20.0 SPY    103. 5.40e-3   0.0325   0.0492   0.0424   0.171    -0.317       NA <NA>     NA    NA       NA
6 2003-09-04  20.0 SPY    103. 5.00e-4   0.0327   0.0725   0.0377   0.155    -0.319       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart